If this is your first time doing that dungeon let it set at loading for a bit to load the dungeon. It shouldn't eat your dungeon key without spawning the dungeon. You can also re-enter the same dungeon by when re-logging to just click on the dungeon icon and it will say do you want to re-enter. Just click yes and it will put you back in the same dungeon you had clicked on even if you didn't click "Save & Quit." There's sometimes when I get disconnected while in the dungeons and it always lets me back in no issue.

You can also try clearing your cache and cookies to see if it clears up the problem. Also what browser are you using and is your flash player up to date?